Will be the calculations correct? I believed the netPnl should be always a similar - whatever the valuation sort
$begingroup$ For an option with cost $C$, the P$&$L, with respect to alterations on the fundamental asset value $S$ and volatility $sigma$, is supplied by
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$begingroup$ Should you take a look at just just one case in point, it might seem like the frequency of hedging directly outcomes the EV/Avg(Pnl), like in the specific situation you explained in which hedging each moment proved to generally be a lot more profitable.
Finding back again to the initial question, and sticking to a primary buy approximation from the CS01. Through the perspective with the defense buyer :
$begingroup$ In Fastened Income, I know that bonds PnL are evaluated based upon exactly where the price lies on cost/yield curve at the conclusion of the working day, when compared to where by it began from at commencing with the working day.
For swaps, you'll need to calculate its new market benefit utilizing the new swap curve. Swaptions are comparable – you can expect to also must reprice it using the new swap curve & vol cube. Share Boost this remedy Stick to
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BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ one $begingroup$ Which may be also lengthy for your parametric approach to estimate pnl. can't you reprice your cds with present-day interest fee curve and cds spreads? $endgroup$
So, is it get more info correct to state then delta-hedging rebalancing frequency directly impacts the quantity of P&L then? $endgroup$
You question could well be more on-topic if it summarized Anything you now have an understanding of with regard to the calculations and questioned a certain issue concerning the unclear component(s). $endgroup$
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Which is determined by the rebalancing frequency. But "anticipated P&L" refers to an average over all probable rate paths. So There may be not always a contradiction right here. $endgroup$
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